Delta-hedging longevity risk under the M7-M5 model : the impact of cohort effect uncertainty and population basis risk
Kenneth Q. Zhou, Johnny Siu-Hang Li
| Year of publication: |
2019
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|---|---|
| Authors: | Zhou, Kenneth Q. ; Li, Johnny Siu-Hang |
| Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 84.2019, p. 1-21
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| Subject: | Cohort effect | Delta hedging | Population basis risk | The M7–M5 model | Value-at-risk | Hedging | Risiko | Risk | Sterblichkeit | Mortality | Kohortenanalyse | Cohort analysis | Risikomanagement | Risk management | Risikomaß | Risk measure | Theorie | Theory | Risikomodell | Risk model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.insmatheco.2018.10.003 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011990427